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Improving the Out-of-Sample Performance via VaR/CVaR Minimization: A Statistical Learning Approach to Portfolio Selection
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- GOTO Junya
- Chuo University
Bibliographic Information
- Title
- Improving the Out-of-Sample Performance via VaR/CVaR Minimization: A Statistical Learning Approach to Portfolio Selection
- Author
- 後藤順哉, 武田朗子
- Published
- 2009
- Resource Type
- journal article
Journal
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- 統計数理研究所共同研究リポート229「最適化:モデリングとアルゴリズム」22巻
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統計数理研究所共同研究リポート229「最適化:モデリングとアルゴリズム」22巻 36-50, 2009
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Details 詳細情報について
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- CRID
- 1010000782055230211
-
- Article Type
- journal article
-
- Data Source
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- KAKEN
